In this note, we study of the impact of sell side analyst recommendations and their revisions on prices. We show that the speed at which their information is incorporated into prices has increased in the last decades. This makes systematic strategies taking advantage of recommendation barely...

By adapting the renormalization techniques of Pisztora (Probab. Theory Relat. Fields 104 (1996) 427), we establish surface order large deviations estimates for FK-percolation on with parameter q[greater-or-equal, slanted]1 and for the corresponding Potts models. Our results are valid up to the...

Contrary to what traditional asset pricing would imply, a strategy that bets against beta, by going long in low beta stocks and short in high beta stocks, tends to outperform the market. We consider a market in which diversity is maintained, i.e. no single stock can dominate the entire market,...

What is the theoretical reason why a particular alternative allocation strategy, or a combination thereof, should offer a superior return vs. risk tradeoff? Can we derive an optimal alternative allocation strategy from first principles, both from an absolute return perspective, to identify the...

We develop a framework to assess the statistical significance of expected default frequency calculated by credit risk models. This framework is then used to analyse the quality of two commercially available models that have become popular among practitioners: KMV Credit Monitor and RiskCalc from...

We develop a framework to assess the statistical significance of expected default frequency as calculated by credit risk models. This framework is then used to analyze the quality of two commercially available models that have become popular among practitioners: KMV Credit Monitor and RiskCalc...